School of Software & Microelectronics, Peking University, Beijing, 100091, China.
School of Economics, Peking University, Beijing, 100871, China.
Environ Sci Pollut Res Int. 2023 Mar;30(13):36838-36850. doi: 10.1007/s11356-022-24623-z. Epub 2022 Dec 23.
Central banks and regulators increasingly consider climate-related financial risks (CRFR) relevant to their responsibilities for maintaining financial stability and using daily data from 2016 to 2021 for China. Specifically, we used the S&P Green Bond Price Index, the Solactive Global Solar Price Index, the Solactive Global Wind Price Index, and the S&P Global Clean Energy and Carbon Price Index as our data set. We use the TVP-VAR method to probe return spillovers and interconnectedness. We test several portfolio strategies, including the minimum variance portfolio, the minimum correlation portfolio, and the more recent minimum connectedness portfolio. However, the evolving policy structure for dealing with CRFR has generally focused on market-based solutions that attempt to address perceived data gaps that preclude the appropriate pricing of CRFR, even though CRFR is thought to have certain distinctive features. Disclosure and openness fall within this category. We propose limiting the approach's influence since CRFR is characterized by extreme attainability. A 'precautionary' financial policy option is presented as an alternative, providing a conceptual foundation for justifying more aggressive financial policy intervention in the present to better cope with these long-term dangers.
各国央行和监管机构越来越多地认为与气候相关的金融风险（CRFR）与其维护金融稳定的职责有关，并使用 2016 年至 2021 年的每日数据来分析中国的情况。具体来说，我们使用了标准普尔绿色债券价格指数、Solactive 全球太阳能价格指数、Solactive 全球风能价格指数和标准普尔全球清洁能源和碳价格指数作为我们的数据集。我们使用 TVP-VAR 方法来探测回报溢出和相互联系。我们测试了几种投资组合策略，包括最小方差投资组合、最小相关系数投资组合和最近的最小关联性投资组合。然而，应对 CRFR 的不断发展的政策结构通常侧重于基于市场的解决方案，这些解决方案试图解决因数据不足而无法对 CRFR 进行适当定价的问题，尽管 CRFR 被认为具有某些独特的特征。信息披露和透明度就属于这一类。我们建议限制这种方法的影响，因为 CRFR 具有极强的可实现性。我们提出了一种“预防性”的金融政策选择，作为替代方案，为在当前更积极地干预金融政策以更好地应对这些长期风险提供了一个概念性的基础。
